Here are a couple of examples why you would want to run an Advanced Query like this:

You want to email members who are expiring soon, and you want to use data only found in Salsa CRM, generating an Advanced Query containing the information, then sharing it with Engage as a one-off email blast to the intended targets in your query results, and including Output Fields from your query as mail merge variables in your query.

You want to email Supporters about an Event, you have the Audience defined in Engage, but you need to exclude those who have already donated this year by any means, not just online engagements.